Also found in:ThesaurusLegalFinancialEncyclopedia.The simultaneous purchase and sale of equivalent assets or of the same asset in multiple markets in order to exploit a temporary discrepancy in prices.the purchase of currencies, securities, or commodities in one market for immediate resale in others in order to profit from unequal prices

the simultaneous sale of a security or commodity in different markets to profit from unequal prices.

the business of buying and selling securities, curreneies, and commodities on an international scale so as to take advantage of differences in rates of exchange and prices.

A situation in which it is possible to buy an asset in one market and then sell it immediately in another market at a higher price.

– a kind of hedged investment meant to capture slight differences in price; when there is a difference in the price of something on two different markets the arbitrageur simultaneously buys at the lower price and sells at the higher price

risk arbitragetakeover arbitrage- arbitrage involving risk; as in the simultaneous purchase of stock in a target company and sale of stock in its potential acquirer; if the takeover fails the arbitrageur may lose a great deal of money

investinginvestment- the act of investing; laying out money or capital in an enterprise with the expectation of profit

commercecommercialismmercantilism- transactions (sales and purchases) having the objective of supplying commodities (goods and services)

merchandisetrade- engage in the trade of; he is merchandising telephone sets

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The prices obtained are shown to be consistent with

pricing valid for financial claims, and incorporate preferences of agents otherwise.

Hence, I propose a new and tractable modification for GATSMs that enforces the ZLB, and which approximates the fully

but much less tractable framework proposed in Black (1995).

A tractable framework for zero lower bound Gaussian term structure models: DP2013/02

The latter generalize the Nelson-Siegel approach (Nelson and Siegel, 1987)) and derive five factors so that the Nelson-Siegel term structure model can be put in an

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, complete and continuously open between time 0 and T, where T0, i.

Optimal portfolio strategies and optimal utility of terminal wealth of an investor

A smart solution to this problem consists of using

conditions, a replication technique of asset payoffs that retains the core fundamentals of equilibrium models.

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The theorem states that, if there exists a risk-free asset (we can denote the corresponding risk-free interest rate by r), then the market is

if and only if there exists a probability measure Q, such that [S.

Tax shelters, Dutch books, and the fundamental theorem of asset pricing

Poitras, 1994, Securities Markets, Diffusion State Processes, and

Shadow Prices, Journal of Financial and Quantitative Analysis, 29:223-239

11030100 State-price densities and equivalent Martingale measures

For the new edition they have simplified and clarified some of the material regarding robust representations of risk measures,

pricing of contingent claims, convergence to Black-Scholes prices, and stability under pasting with its connections to dynamically consistent coherent risk measures.

Stochastic finance; an introduction in discrete time, 2d rev. ed

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